Derivative Securities 

This is an undergraduate course that I was teaching at the Wisconsin School of Business.

I am very thankful to Briana Chang for helping me prepare this course! Some of my materials are based on the book by John Hull Fundamentals of futures and options markets, Pearson.

• Teaching evaluations 2018: 5.0/5.0

• Teaching evaluations 2017: 4.75/5.0

• Teaching evaluations 2016: 3.97/5.0

• Lecture notes:

  • Syllabus

  • Futures contracts

  • Interest rates

  • Pricing of futures

  • Options

  • Options (part 2)

  • Binomial trees

  • Black-Scholes model

  • Delta hedging

  • Option Greeks

  • Derivative disasters

• Problem sets:

  • Problem set 1

  • Problem set 2

• Trading assignments:

  • Assignment 1

  • Assignment 2

• Group presentations:

  • Cross-hedging

  • Futures arbitrage

  • Put-call parity

  • Monte Carlo simulations